Fix GSdx build and enhance the desktop file.

The commit messages are quite verbose when compared to the amount of changes I did but in short.

- In some rare cases EGL can't be found and GSdx does not get built.
- Enhance desktop file to make gnome maintainers/developers happy.

I also have another pull request in the works to clean up cross compiling from amd64 to i386 but since that one is bigger I'm sending this one first.